RT Journal Article SR Electronic T1 Where Is the “Meat” in Smart Beta Strategies? JF The Journal of Wealth Management FD Institutional Investor Journals SP 24 OP 32 DO 10.3905/jwm.2017.20.3.024 VO 20 IS 3 A1 Jarkko Peltomäki A1 Janne Äijö YR 2017 UL https://pm-research.com/content/20/3/24.abstract AB In this study, the authors use principal component analysis (PCA) to address the relevance and style mix of four common smart beta strategy indexes: minimum volatility, momentum, fundamental value, and equal weight. They discover that the major proportion of equity smart beta beyond a market-cap-weighted index originates from the momentum smart beta strategy, while, for example, the value smart beta strategy has little relevance. The authors’ results show that returns to different smart beta strategies are partly driven by the same factor exposures related to multifactor models of asset pricing.TOPICS: Analysis of individual factors/risk premia, statistical methods, performance measurement